Not a particularly controversial post as the evidence is quite clear.
First: here is a review article from the American Journal of Obstetrics & Gynaecology 2009 going through the various studies on flu vaccine safety in pregnancy.
The conclusion is that influenza is pretty dangerous in pregnancy, while the influenza vaccine is pretty safe. Additionally, no long term side effects from the small dose of thimerosal which is a mercury based preservative.
Thimerosal free vaccines are available.
Second: here is an earlier review article from The Lancet Infectious Diseases 2008
Once again, conclusion is that benefit outweighs risk. As this was prior to the large prospective double blind randomised controlled trial in 2008, there was not enough data at the writing of that article regarding the flu vaccine and safety in pregnancy.
Finally here is the New England Journal of Medicine 2008 prospective double blind RCT that seals the deal with enough evidence- 340 patients.